qingzhao7718
ARIMA(0,1,1) r(t)=r(t-1)+e(t)-0.8*e(t-1) r(0)=0.01 e(t)为标准正态(0,1)
模拟程序如下:
data a;
r1=0.01;
e1=rannor(32585);
g=-0.8;
do time=-05 to 1000;
e=rannor(32585);
r=r1+e+0.8*e1;
if time>0 then output;
r1=r;
e1=e;
end;
run;
问题是如果模拟ARIMA(0,1,2) r(t)=r(t-1)+e(t)-0.8*e(t-1)+0.3*a(t-2)的程序应该怎么写,请高人指点。